A Test of Ben Graham’s Stock Selection Criteria

Oppenheimer, Henry R.

doi:10.2469/faj.v40.n5.68

Cited by 43 publications

(50 citation statements)

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“…Non-documented studies by Graham would have proven that using these criteria alone with low debt ratio would generate a portfolio with almost as good a performance as a portfolio with other additional criteria. Oppenheimer (1984) verified that portfolios compiled and revised annually of companies that fit the value criteria would have obtained above-market-average performance between 1974 and 1981. Using similar criteria, Klerck and Maritz (1997) Various studies analyzed had to deal with the challenge of finding stocks that fulfilled all the suggested criteria, such as in the case of Artuso and Chaves (2010).…”

Section: Value Investingmentioning

confidence: 84%

“…The obtainment of above-market-average performance using his criteria has been observed by Oppenheimer (1984), Klerck and Maritz (1997), Passos and Pinheiro (2009), Artuso and Chaves (2010), Almeida, Oliveira, Botrel, andMartins (2011), andTesta (2011). However, none of the studies was concerned with adapting the Graham filters to the economic reality at the time the stocks were selected.…”

Section: Introductionmentioning

confidence: 79%

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Analysis of value portfolios in the Brazilian market

Palazzo

Savóia

Securato

et al. 2018

Rev. contab. finanç.

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This paper tested a value investing strategy for the Brazilian market, selecting stocks based on the criteria suggested by Graham (2007) so that lower quality companies with potential risks not captured by the traditional risk models were eliminated. Five hundred thirty-two stocks were analyzed in the period from May 2005 to April 2015 and, after applying the Graham selection filters, portfolios with 10-year maturity were obtained. After simulating the portfolios' performances over the analysis period and measuring the Sharpe ratios, it was possible to verify: (i) the validity of the Graham model for selecting stocks in the Brazilian market, (ii) tiering of the Graham filters according to their relevance, and (iii) the ideal composition for a value investing portfolio in the Brazilian market for the period analyzed. The portfolios obtained were able to offer higher risk adjusted returns than the Bovespa Index in the period, as well as lower risk metrics. The results confirmed the validity of the value investing strategy in the domestic market.

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Section: Value Investingmentioning

confidence: 84%

Section: Introductionmentioning

confidence: 79%

Analysis of value portfolios in the Brazilian market

Palazzo

Savóia

Securato

et al. 2018

Rev. contab. finanç.

View full text Add to dashboard Cite

show abstract

“…As soon as the classical assumptions test was fulfilled, the author ran the regression analysis using Table 5. Note: The author tested stocks that met a combination of criteria, not one criterion individually as stipulated by Oppenheimer (1984). Source: Data analysis.…”

Section: Resultsmentioning

confidence: 99%

“…States (Oppenheimer, 1984) and other countries, such as South Africa (Klerck &Maritz, 1997) and India (Singh & Kaur, 2014). In the meantime, Lynch's criteria have not been widely tested other than in the United States (Thorp, 2015).…”

Section: Many Tests Have Been Conducted To Test the Accuracy Of Grahamentioning

confidence: 99%

“…In the Burkenroad Reports, if a stock has fulfilled half of the list of Graham's criteria, then the stock analysts buy the stock (Kartikasari, 2013). Oppenheimer (1984) used only four of the Ben Graham criteria above, namely (1), (3), (6), and (9). He stated that Graham's stocks must meet at least two criteria, consisting of the criteria of "returns" i.e.…”

Section: Literature Reviewmentioning

confidence: 99%

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